> Have I missed the point and it really is a Religious celebration?

As others have said, Thanksgiving's roots are not religious in nature, but in practice it's arguably more grounded in scripture than Christmas, which is commercialized and has observances drawn from secular (Santa Claus) and pagan (Christmas trees) sources in addition those tied to the remembrance of Jesus Christ's birth.

The purpose of Thanksgiving, by contrast, is simple, and maps exactly with a biblical tenet: "In every thing give thanks: for this is the will of God in Christ Jesus concerning you." (I Thess. 5:18) The United States was the first country to celebrate a national holiday whose purpose is to give thanks for what we have.

The customary way to celebrate it, as you no doubt already know, is to have a humongous meal of turkey and assorted vegetables (most traditionally those eaten by the pilgrims back in the 1600s) and cranberry sauce. Churches, however, frequently observe the holiday by collecting foodstuffs from its members and distributing them to those with needs (of course many churches do this at other times and some year-round). Some churches instead serve prepared meals for whoever comes. In that respect, our Thanksgiving is similar to your Boxing Day.